메뉴 건너뛰기




Volumn 9, Issue 2, 1999, Pages 129-142

A multi-country analysis of the temporary and permanent components of stock prices

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0040629746     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/096031099332393     Document Type: Article
Times cited : (11)

References (51)
  • 1
  • 2
    • 0000665615 scopus 로고
    • Macroeconomic adjustment under bretton woods and the post-Bretton Woods float: An impulse-response analysis
    • Bayoumi, T. and Eichengreen, B. (1994) Macroeconomic adjustment under Bretton Woods and the post-Bretton Woods float: An impulse-response analysis, Economic Journal, 104, 813-27.
    • (1994) Economic Journal , vol.104 , pp. 813-827
    • Bayoumi, T.1    Eichengreen, B.2
  • 4
    • 49149136203 scopus 로고
    • A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the 'Business Cycle'
    • Beveridge S. and Nelson, C. R. (1981) A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the 'Business Cycle', Journal of Monetary Economics, 7, 151-74.
    • (1981) Journal of Monetary Economics , vol.7 , pp. 151-174
    • Beveridge, S.1    Nelson, C.R.2
  • 5
    • 85013889828 scopus 로고
    • U.K. Stock returns: Predictability and business conditions
    • Black, A. and Fraser, P. (1995) U.K. stock returns: Predictability and business conditions, Manchester School, 63, Supplement, 85-102.
    • (1995) Manchester School , vol.63 , Issue.SUPPL. , pp. 85-102
    • Black, A.1    Fraser, P.2
  • 6
    • 85016078433 scopus 로고
    • The dynamic effects of aggregate supply and demand disturbances
    • Blanchard, O. J. and Quah, D. (1989) The dynamic effects of aggregate supply and demand disturbances, American Economic Review, 79, 655-73.
    • (1989) American Economic Review , vol.79 , pp. 655-673
    • Blanchard, O.J.1    Quah, D.2
  • 8
    • 84977723932 scopus 로고
    • Predictable variations in stock index returns
    • Breen, W., Glosten, L. R. and Jagannathan, R. (1990) Predictable variations in stock index returns, Journal of Finance, 44, 1177-89.
    • (1990) Journal of Finance , vol.44 , pp. 1177-1189
    • Breen, W.1    Glosten, L.R.2    Jagannathan, R.3
  • 9
    • 84936823544 scopus 로고
    • How big is the random walk in GNP?
    • Cochrane, J. H. (1988) How big is the random walk in GNP? Journal of Political Economy, 96, 893-920.
    • (1988) Journal of Political Economy , vol.96 , pp. 893-920
    • Cochrane, J.H.1
  • 10
    • 84977708733 scopus 로고
    • Production-based asset pricing and the link between stock returns and economic fluctuations
    • Cochrane, J. H. (1991) Production-based asset pricing and the link between stock returns and economic fluctuations, Journal of Finance, 46, 209-38.
    • (1991) Journal of Finance , vol.46 , pp. 209-238
    • Cochrane, J.H.1
  • 11
    • 84954974222 scopus 로고
    • Permanent and transitory components of GNP and stock prices
    • Cochrane, J. H. (1994) Permanent and transitory components of GNP and stock prices, Quarterly Journal of Economics, vol 109, 241-65.
    • (1994) Quarterly Journal of Economics , vol.109 , pp. 241-265
    • Cochrane, J.H.1
  • 12
    • 38249031401 scopus 로고
    • Multivariate estimates of the permanent components of GNP and stock prices
    • Cochrane, J. H. and Sbordone, A. M. (1988) Multivariate estimates of the permanent components of GNP and stock prices, Journal of Economic Dynamics and Control, 12, 255-96.
    • (1988) Journal of Economic Dynamics and Control , vol.12 , pp. 255-296
    • Cochrane, J.H.1    Sbordone, A.M.2
  • 14
    • 84987493122 scopus 로고
    • International evidence on the predictability of stock returns
    • Cochran, S. J., DeFina, R. H. and Mills, L. O. (1993) International evidence on the predictability of stock returns, Financial Review, 28, 159-80.
    • (1993) Financial Review , vol.28 , pp. 159-180
    • Cochran, S.J.1    DeFina, R.H.2    Mills, L.O.3
  • 15
    • 84963444242 scopus 로고
    • Expected returns and economic factors: A GARCH approach
    • Cochran, S. J. and Mansur, I. (1993) Expected returns and economic factors: A GARCH approach, Applied Financial Economics, 3, 243-54.
    • (1993) Applied Financial Economics , vol.3 , pp. 243-254
    • Cochran, S.J.1    Mansur, I.2
  • 16
    • 0000714566 scopus 로고
    • Some posteriori probabilities in stock market action
    • Cowles, A. and Jones, H. (1937) Some posteriori probabilities in stock market action, Econometrica, 5, 280-94.
    • (1937) Econometrica , vol.5 , pp. 280-294
    • Cowles, A.1    Jones, H.2
  • 18
    • 85036258669 scopus 로고
    • Distribution of the estimates for autoregressive time series with a unit root
    • Dickey, D. and Fuller, W. A. (1979) Distribution of the estimates for autoregressive time series with a unit root, Journal of the American Statistical Association, 74, 427-31.
    • (1979) Journal of the American Statistical Association , vol.74 , pp. 427-431
    • Dickey, D.1    Fuller, W.A.2
  • 19
    • 0000472488 scopus 로고
    • Likelihood ratio statistics for autoregressive time series with a unit root
    • Dickey, D. and Fuller, W. A. (1981) Likelihood ratio statistics for autoregressive time series with a unit root, Econometrica, 49, 1057-72.
    • (1981) Econometrica , vol.49 , pp. 1057-1072
    • Dickey, D.1    Fuller, W.A.2
  • 21
    • 0000013567 scopus 로고
    • Cointegration and error correction: Representation, estimation and testing
    • Engle, R. F. and Granger, C. W. J. (1987) Cointegration and error correction: Representation, estimation and testing, Econometrica, 55, 251-76.
    • (1987) Econometrica , vol.55 , pp. 251-276
    • Engle, R.F.1    Granger, C.W.J.2
  • 22
    • 0002528209 scopus 로고
    • The behavior of stock market prices
    • Fama, E. F. (1965) The behavior of stock market prices, Journal of Business, 38, 34-105.
    • (1965) Journal of Business , vol.38 , pp. 34-105
    • Fama, E.F.1
  • 23
    • 84936823605 scopus 로고
    • Permanent and temporary components of stock prices
    • Fama, E. F. and French, K. R. (1988a) Permanent and temporary components of stock prices, Journal of Political Economy, 96, 246-273.
    • (1988) Journal of Political Economy , vol.96 , pp. 246-273
    • Fama, E.F.1    French, K.R.2
  • 25
    • 34250890715 scopus 로고
    • Business conditions and expected returns on stocks and bonds
    • Fama, E. F. and French, K. R. (1989) Business conditions and expected returns on stocks and bonds, Journal of Financial Economics, 25, 23-49.
    • (1989) Journal of Financial Economics , vol.25 , pp. 23-49
    • Fama, E.F.1    French, K.R.2
  • 26
    • 33749530780 scopus 로고
    • Testing the random walk hypothesis on Swedish stock prices: 1919-1990
    • Frennberg, P. and Hansson, B. (1993) Testing the random walk hypothesis on Swedish stock prices: 1919-1990, Journal of Banking and Finance, 17, 175-91.
    • (1993) Journal of Banking and Finance , vol.17 , pp. 175-191
    • Frennberg, P.1    Hansson, B.2
  • 28
    • 0041191638 scopus 로고    scopus 로고
    • Estimating the mean-reverting component in stock prices: A cross-country comparison
    • Gallagher, L. A., Sarno, L. and Taylor, M. P. (1997) Estimating the mean-reverting component in stock prices: A cross-country comparison, Scottish Journal of Political Economy, 44, 566-82.
    • (1997) Scottish Journal of Political Economy , vol.44 , pp. 566-582
    • Gallagher, L.A.1    Sarno, L.2    Taylor, M.P.3
  • 29
    • 84979319562 scopus 로고
    • Spectral analysis of New York stock market prices
    • Granger, C. J. and Morgenstern, O. (1963) Spectral analysis of New York stock market prices, Kyklos, 16, 1-27.
    • (1963) Kyklos , vol.16 , pp. 1-27
    • Granger, C.J.1    Morgenstern, O.2
  • 30
    • 84977718628 scopus 로고
    • Evidence of predictable behavior of security returns
    • Jegadeesh, N. (1990) Evidence of predictable behavior of security returns, Journal of Finance, 45, 881-98.
    • (1990) Journal of Finance , vol.45 , pp. 881-898
    • Jegadeesh, N.1
  • 31
    • 84977728314 scopus 로고
    • Seasonality in stock price mean reversion: Evidence from the U.S. and the U.K
    • Jegadeesh, N. (1991) Seasonality in stock price mean reversion: Evidence from the U.S. and the U.K., Journal of Finance, 46, 1427-44.
    • (1991) Journal of Finance , vol.46 , pp. 1427-1444
    • Jegadeesh, N.1
  • 32
    • 84959822288 scopus 로고
    • Mean reversion in stock prices? A reappraisal of the empirical evidence
    • Kim, M. J., Nelson, C. R. and Startz, R. (1991) Mean reversion in stock prices? A reappraisal of the empirical evidence, Review of Economic Studies, 58, 515-28.
    • (1991) Review of Economic Studies , vol.58 , pp. 515-528
    • Kim, M.J.1    Nelson, C.R.2    Startz, R.3
  • 33
    • 21844510850 scopus 로고
    • The response of stock prices to permanent and temporary shocks to dividends
    • Lee, B.-S. (1995) The response of stock prices to permanent and temporary shocks to dividends, Journal of Financial and Quantitative Analysis, 30, 1-22.
    • (1995) Journal of Financial and Quantitative Analysis , vol.30 , pp. 1-22
    • Lee, B.-S.1
  • 34
    • 0002484986 scopus 로고
    • Stock prices do not follow random walks: Evidence from a simple specification test
    • Lo, A. W. and MacKinlay, A. C. (1988) Stock prices do not follow random walks: Evidence from a simple specification test, Review of Financial Studies, 1, 41-66.
    • (1988) Review of Financial Studies , vol.1 , pp. 41-66
    • Lo, A.W.1    MacKinlay, A.C.2
  • 35
    • 45249127135 scopus 로고
    • The size and power of the variance ratio test in finite samples: A Monte Carlo investigation
    • Lo, A. W. and MacKinlay, A. C. (1989) The size and power of the variance ratio test in finite samples: A Monte Carlo investigation, Journal of Econometrics, 40, 203-38.
    • (1989) Journal of Econometrics , vol.40 , pp. 203-238
    • Lo, A.W.1    MacKinlay, A.C.2
  • 36
    • 84984431826 scopus 로고
    • Comparison of criteria for estimating the order of a vector autoregressive process
    • Lütkepohl, H. (1985) Comparison of criteria for estimating the order of a vector autoregressive process, Journal of Time Series Analysis, 6, 35-52.
    • (1985) Journal of Time Series Analysis , vol.6 , pp. 35-52
    • Lütkepohl, H.1
  • 37
    • 84959808753 scopus 로고
    • Stock market forecastability and volatility: A statistical appraisal
    • Mankiw, N. G., Romer, D. and Shapiro, M. D. (1991) Stock market forecastability and volatility: A statistical appraisal, Review of Economic Studies, 58, 455-77.
    • (1991) Review of Economic Studies , vol.58 , pp. 455-477
    • Mankiw, N.G.1    Romer, D.2    Shapiro, M.D.3
  • 38
    • 21344488530 scopus 로고
    • Stock prices, news, and business conditions
    • McQueen, G. and Roley, V. V. (1993) Stock prices, news, and business conditions, Review of Financial Studies, 6, 683-707.
    • (1993) Review of Financial Studies , vol.6 , pp. 683-707
    • McQueen, G.1    Roley, V.V.2
  • 39
    • 0040597600 scopus 로고
    • Assessing the predictability of UK stock market returns using statistics based on multi-period returns
    • Mills, T. C. (1991) Assessing the predictability of UK stock market returns using statistics based on multi-period returns, Applied Financial Economics, 1, 41-66.
    • (1991) Applied Financial Economics , vol.1 , pp. 41-66
    • Mills, T.C.1
  • 40
    • 0001326347 scopus 로고
    • Is there long-term memory in UK stock returns?
    • Mills, T. C. (1993) Is there long-term memory in UK stock returns? Applied Financial Economics, 3, 303-6.
    • (1993) Applied Financial Economics , vol.3 , pp. 303-306
    • Mills, T.C.1
  • 41
    • 0039412286 scopus 로고
    • Estimating the permanent component of UK stock prices using multivariate evidence on both prices and dividends
    • Mills, T. C. (1995) Estimating the permanent component of UK stock prices using multivariate evidence on both prices and dividends, Journal of Business Finance and Accounting, 22, 671-80.
    • (1995) Journal of Business Finance and Accounting , vol.22 , pp. 671-680
    • Mills, T.C.1
  • 42
    • 27644580196 scopus 로고
    • Trends and random walks in macroeconomic time series: Further evidence from a new approach
    • Perron, P. (1988) Trends and random walks in macroeconomic time series: Further evidence from a new approach, Journal of Economic Dynamics and Control, 12, 297-332.
    • (1988) Journal of Economic Dynamics and Control , vol.12 , pp. 297-332
    • Perron, P.1
  • 43
    • 84993877356 scopus 로고
    • Predictability of stock returns: Robustness and economic significance
    • Pesaran, M. H. and Timmermann, A. (1995) Predictability of stock returns: Robustness and economic significance, Journal of Finance, 50, 1201-28.
    • (1995) Journal of Finance , vol.50 , pp. 1201-1228
    • Pesaran, M.H.1    Timmermann, A.2
  • 44
    • 0002158052 scopus 로고
    • Mean reversion in stock prices: Evidence and implications
    • Poterba, J. M. and Summers, L.H. (1988) Mean reversion in stock prices: Evidence and implications, Journal of Financial Economics, 22, 27-59.
    • (1988) Journal of Financial Economics , vol.22 , pp. 27-59
    • Poterba, J.M.1    Summers, L.H.2
  • 45
  • 46
    • 38249025506 scopus 로고
    • Drawing inferences from statistics based on multiyear asset returns
    • Richardson, M. and Stock, J. H. (1989) Drawing inferences from statistics based on multiyear asset returns, Journal of Financial Economics, 25, 323-48.
    • (1989) Journal of Financial Economics , vol.25 , pp. 323-348
    • Richardson, M.1    Stock, J.H.2
  • 48
    • 14344281401 scopus 로고
    • Testing the random walk hypothesis: Power versus frequency of observation
    • Shiller, R. J. and Perron, P. (1985) Testing the random walk hypothesis: power versus frequency of observation, Economic Letters, 18, 381-6.
    • (1985) Economic Letters , vol.18 , pp. 381-386
    • Shiller, R.J.1    Perron, P.2
  • 51
    • 84924508526 scopus 로고
    • Does the stock market rationally reflect fundamental values
    • Summers, L. H. (1986) Does the stock market rationally reflect fundamental values, Journal of Finance, 41, 591-601.
    • (1986) Journal of Finance , vol.41 , pp. 591-601
    • Summers, L.H.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.